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13995173783 · 2023年07月06日

英语不好，请老师告诉哪个单词能看出下面的意思，谢谢！

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000037

问题如下：

The Eurodollar futures price for a contract that matures in three years is 95.75. The standard deviation of the change in the short rate in one year is 0.8%. Estimate the continuously compounded forward rate between three and 3.25 years.

选项：

解释：

The actual/360 futures rate is 100 - 95.75 = 4.25. This is 4.25 X 365/360 = 4.3090% on an actual/actual basis.

This rate is compounded quarterly. The rate with continuous compounding is 4 X ln(1 + 0.043090/4) = 0.042860

or 4.2860%. The convexity adjustment is 0.5 X 0.0082 X 3 X 3.25 = 0.000312

An estimate of the continuously compounded forward rate is therefore:

0.042860 - 0.000312 = 0.042548 or 4.255%.

1.怎么看出来是actual/actual？

2.哪里看出来是复利计算的？

3、报价不是用100-rate的吗？为啥future rate 不是4.25，还要计算？

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DD仔_品职助教 · 2023年07月08日

嗨，努力学习的PZer你好：


同学你好，

1，eurodollar futures proce的计算标准是actual/actual，属于固定搭配，题目一般不会说明

2，最后一句说的continuous compounded是连续复利的意思

3，这道题的考点是调整了convexity之后的forward price：

这里的T就是3，futures rate需要先把（100-95.75=4.25）这个利率转化为按照实际365天计息的利率（4.309%），然后再把这个4.309%除以4，再利用连续复利公式ln(1+1.309%/4) * 4还原为真实的连续复利年利率。 最后按照讲义里的红框公式求解即可。


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

DD仔_品职助教 · 2023年07月09日

嗨，爱思考的PZer你好：


加油呢同学~

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

13995173783 · 2023年07月09日

谢谢老师

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NO.PZ2020021204000037 问题如下 The Eurollfutures prifor a contrathmatures in three years is 95.75. The stanrviation of the change in the short rate in one yeis 0.8%. Estimate the continuously compounforwarrate between three an3.25 years. The actual/360 futures rate is 100 - 95.75 = 4.25. This is 4.25 X 365/360 = 4.3090% on actual/actubasis.This rate is compounquarterly. The rate with continuous compounng is 4 X ln(1 + 0.043090/4) = 0.042860or 4.2860%. The convexity austment is 0.5 X 0.0082 X 3 X 3.25 = 0.000312estimate of the continuously compounforwarrate is therefore:0.042860 - 0.000312 = 0.042548 or 4.255%. 不明白，请讲解一下这道题的解题思路和步骤

2024-11-08 17:01 1 · 回答

NO.PZ2020021204000037 问题如下 The Eurollfutures prifor a contrathmatures in three years is 95.75. The stanrviation of the change in the short rate in one yeis 0.8%. Estimate the continuously compounforwarrate between three an3.25 years. The actual/360 futures rate is 100 - 95.75 = 4.25. This is 4.25 X 365/360 = 4.3090% on actual/actubasis.This rate is compounquarterly. The rate with continuous compounng is 4 X ln(1 + 0.043090/4) = 0.042860or 4.2860%. The convexity austment is 0.5 X 0.0082 X 3 X 3.25 = 0.000312estimate of the continuously compounforwarrate is therefore:0.042860 - 0.000312 = 0.042548 or 4.255%. 基础课讲义里面并没有提到futrues利率转成forwar时候需要按天数调整，只给了减去方差的调整项，考试里面也要这样按actual转化吗？还是可以直接用futures的利率减去调整项就可以？

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2024-03-31 21:22 1 · 回答

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2024-03-31 14:58 1 · 回答

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2024-03-22 21:24 1 · 回答